He explained that she would have realized he was losing on purpose, which would have taught her a terrible lesson.

The fantastic anecdote, from the New Yorker:

"He recalled playing Candy Land with her when she was three, and confronting the inevitable question of whether or not to let her win. 'You know it's my move,' he said. 'She obviously can see that I can win, so she'll know that I'm not-winning on purpose. Then what's that teaching? So I just play the game, I win—and the kid goes ape s***. She knocked the board over. "Baaaaa!" I was like, "S*** the kid's like me. Damn it.'"